i can't find a data provider who provides (milli)second by (milli)second historical depth of market book, so i figure i could write a code that and build my own.

below is the Market Depth of Chart by Multicharts

[RecoverDrawings = false];

if not LastBarOnChart_s then #return;

Inputs: UpdateSpeed_seconds(0.1);

RecalcLastBarAfter(UpdateSpeed_seconds);

repeat

if not dom_isconnected then
break;

value11 = 0;
value12 = 0;
for value1 = 0 to dom_askscount - 1 begin
value12 = dom_asksize(value1);
if value12 > value11 then value11 = value12;
end;

for value1 = 0 to dom_bidscount - 1 begin
value12 = dom_bidsize(value1);
if value12 > value11 then value11 = value12;
end;

if 0 >= value11 then
break;

for value1 = 0 to dom_askscount - 1 begin
draw_DOM_level(
dom_askprice(value1), dom_asksize(value1), value1, value11,
gradientcolor( value1, 0, 10, RGB(255,0,0), RGB(80,0,0) ),
dom_askscount - 1 = value1
);
end;

for value1 = 0 to dom_bidscount - 1 begin
draw_DOM_level(
dom_bidprice(value1), dom_bidsize(value1), value1, value11,
gradientcolor( value1, 0, 10, RGB(0,0,255), RGB(0,0,80) ),
dom_bidscount - 1 = value1
);
end;

plot1("OK", "Status", white);

#return;

until(False);

plot1("Level2 data is not avaliable", "Status", red);

is there a way, i can store,save that data to be used at another time for time backtesting?

thanks!

honoluluhustler,

yes, but you would need your own database or create huge text files storing this data.

Regards,
ABCTG

IQFeed provides millisecond resolution and historical bid/ask. There is also a discount for Elite Members.

Mike